The question is on the calculation of notional SCR for insurance holding companies.   There would appear to be a conflict between the Feedback statement that appeared in the Final Report on Public Consultation No. 14/036 on Guidelines on group solvency (page 7), with the 28 September 2015 guidance that EIOPA provided to question 2 in the section "Guidelines on reporting and public disclosure”.

1    Final Report on Public Consultation No. 14/036 on Guidelines on group solvency

In response to the question below,

Notional solvency capital requirement for an insurance holding company and a mixed financial holding company included in the group solvency calculation    13    1.35 and 1.36    In order to be helpful this Guideline should also make reference to the draft Delegated Acts which provide more details than the Directive to calculate solvency capital requirements. However, since Article 226 of Solvency II and Article 322 SCG2 of the draft delegated Acts are already precise enough, we believe this Guideline is in fact not needed.
Besides, the calculation of a complete solo SCR for insurance holding companies should be restricted to cases where this is necessary for a proper representation of own funds and risks at a group level. At the solo level of holding companies, the Directive does not provide the necessary legal and regulatory framework for this task, both for the standard formula and internal models. Therefore insurance holding companies should attribute local capital requirements where they exist, and nil otherwise to their notional SCR, unless the group supervisor requires a more detailed approach.

EIOPA stated:

4. Notional SCR and MCR for an insurance holding company and a mixed financial holding company
a. Summary of the problem
Stakeholders believe that the Solvency II Directive doesn’t require insurance holding companies and mixed financial holding companies to have a notional SCR (or MCR when contributing to the floor of the group SCR). This could impact the diversification effect.
b. EIOPA resolution
Indeed the Solvency II Directive requires insurance holding companies and mixed financial holding companies to be treated as insurance undertakings in respect of SCR and own-funds. However, EIOPA agrees that the requirement of a notional SCR would not be fully consistent with the Solvency II Directive and therefore has amended its Guidelines.

2    EIOPA answer to Question 2 on “Guidelines on reporting and public disclosure”

“Indeed the Solvency II Directive requires insurance holding companies and mixed financial holding companies to be treated as insurance undertakings in respect of SCR and own-funds. However, EIOPA agrees that the requirement of a notional SCR would not be fully consistent with the Solvency II Directive and therefore has amended its Guidelines.
"Information on notional SCR should be provided in cell C0060 (old C1). The Notional SCR should also be calculated for insurance holding company and mixed financial holding company, which should be treated as an insurance undertaking for the purposes mentioned in Article 336(b), Article 330(4)(a) and Article 372(2)(c)(ii) of Delegated Regulation 2015/35/EC. This should be consistent with information provided in regular supervisory report according to Article 372(2)(c)(ii) of the same Delegated Regulation.
The notional SCR of an insurance holding company and mixed financial holding company should cover relevant risks listed in Article 101(4) of Directive 2009/138/EC, depending on the risk profile of the insurance holding company or mixed financial holding company. Bearing in mind that a holding company does not carry out (re)insurance activities, potential exposures market, credit and operational risks should be covered.
The same treatment applies in case of the standard formula and an internal model. For further details on the calculation please refer to the national implementation of the directive and related guidelines."
Based on Section 1 and Section 2 above, it is our understanding that EIOPA were now following Section 1.  

This view is supported in recital 96 to the Solvency II Directive, whic states:

“Such group supervision should take into account insurance holding companies and mixed-activity insurance holding companies to the extent necessary. However, this Directive should not in any way imply that Member States are required to apply supervision to those undertakings considered individually.”

Looking further into the Solvency II Directive (for example, Article 214, 226, 244, 245 etc), it is true that all references to insurance holding companies are referred to in the group context and never in the individual perspective.   Therefore, one could conclude that there is no framework or support for calculating notional SCR for individual insurance holding companies.    As appropriate, insurance holding companies are included in the calculation of the Group SCR and as recital 96 states supervision is not to be applied individually to insurance holding companies.  

In relation to Article 329 of the Delegated Act, it makes no mention of insurance holding companies, and hence, referring to Article 335 and Article 336 of the Delegated Regulation, the Group SCR is the sum as specified in Article 336.   Here insurance holding companies are fully consolidated on a line by line basis as per Article 335 (1)(a) to (c).   Article 329 is basically picked up in Article 336 (c).    

In relation to a group using the accounting consolidation-based method (method 1) which by default includes its insurance holding companies, when looking at S.34.01 there would appear to still be a requirement to include insurance holding companies and it is proposed that each insurance holding company is identified in C0010, C0020 and C0030.   In column C0040 one would report “2 – Not aggregated”.  In column C0050 state that all insurance holding companies (assuming none are formally regulated undertakings) have “3 – No capital requirement”, C0060 will be left blank for each individual insurance holding company.

By virtue of no notional SCR for the insurance holding company leave C0070 and C0080 blank.    

We would welcome any guidance to clarify the reporting of insurance holding companies in S.34.01.